High-Dimensional Volatility Matrix Estimation with Cross-Sectional Dependent and Heavy-Tailed Microstructural Noise
Crossref DOI link: https://doi.org/10.1007/s11424-023-2080-5
Published Online: 2023-10-19
Published Print: 2023-10
Update policy: https://doi.org/10.1007/springer_crossmark_policy
Liang, Wanwan
Wu, Ben
Fan, Xinyan
Jing, Bingyi
Zhang, Bo
Text and Data Mining valid from 2023-10-01
Version of Record valid from 2023-10-01
Article History
Received: 2 February 2022
Revised: 27 May 2022
First Online: 19 October 2023
Conflict of Interest
: The authors declare no conflict of interest.